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Cambridge University Press, Journal of Applied Probability, 3(57), p. 760-774, 2020

DOI: 10.1017/jpr.2020.26

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Explicit results on conditional distributions of generalized exponential mixtures

Journal article published in 2020 by Claudia Klüppelberg, Miriam Isabel Seifert
This paper was not found in any repository, but could be made available legally by the author.
This paper was not found in any repository, but could be made available legally by the author.

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Abstract

AbstractFor independent exponentially distributed random variables $X_i$ , $i𝟄 {\mathcal{N}}$ , with distinct rates ${λ}_i$ we consider sums $∑_{i𝟄\mathcal{A}} X_i$ for $\mathcal{A}⊆ {\mathcal{N}}$ which follow generalized exponential mixture distributions. We provide novel explicit results on the conditional distribution of the total sum $∑_{i𝟄 {\mathcal{N}}}X_i$ given that a subset sum $∑_{j𝟄 \mathcal{A}}X_j$ exceeds a certain threshold value $t>0$ , and vice versa. Moreover, we investigate the characteristic tail behavior of these conditional distributions for $t\to∞$ . Finally, we illustrate how our probabilistic results can be applied in practice by providing examples from both reliability theory and risk management.